Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model

Author: Asimit Alexandru V.   Vernic Raluca   Zitikis Ričardas  

Publisher: MDPI

E-ISSN: 2227-9091|1|1|14-33

ISSN: 2227-9091

Source: Risks, Vol.1, Iss.1, 2013-03, pp. : 14-33

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Abstract